Title :
Profitability of pairs trading tactics in China´s stock market
Author :
Huang Tianyong ; Deng Ming ; Wu Liang
Author_Institution :
Dept. of Stat., Xiamen Univ., Xiamen, China
Abstract :
On the hypothesis of short selling being possible in Shanghai stock market, using standardized stock price series, selecting sample based on the constituent stocks of SSE 50 index, this paper tests the profitability of pairs trading tactics. By use of constructing benchmark and bootstrap simulation, this paper demonstrates that pairs trading tactics is profitable in Chinese securities market. The system risk of this tactics is close to zero, which reflects the pairs trading tactics being a market neutral tactics.
Keywords :
pricing; profitability; stock markets; China stock market; Chinese securities market; SSE 50 index; Shanghai stock market; bootstrap simulation; market neutral tactics; standardized stock price series; trading tactics profitability; Benchmark testing; Computational modeling; Indexes; Investment; Portfolios; Profitability; Stock markets; Chinese Securities Market; Minimum Distance Method; Profitability; Trading;
Conference_Titel :
Innovation Conference (SIIC), 2013 Suzhou-Silicon Valley-Beijing International
Conference_Location :
Suzhou
Print_ISBN :
978-1-4799-0338-2
DOI :
10.1109/SIIC.2013.6624176
